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#![warn(
missing_debug_implementations,
missing_copy_implementations,
rust_2018_idioms,
// missing_docs
)]
use crate::model::{MarketEvent, Subscription, SubscriptionIds, SubscriptionMeta};
use async_trait::async_trait;
use barter_integration::{
error::SocketError,
model::Exchange,
protocol::websocket::{connect, WebSocket, WebSocketParser, WsMessage, WsSink, WsStream},
Event, ExchangeStream, Transformer,
};
use futures::{SinkExt, Stream, StreamExt};
use serde::{de::DeserializeOwned, Deserialize, Serialize};
use std::{
fmt::{Debug, Display, Formatter},
time::Duration,
};
use tokio::sync::mpsc;
use tracing::error;
///! # Barter-Data
/// Core data structures to support consuming [`MarketStream`]s.
///
/// eg/ `MarketEvent`, `PublicTrade`, etc.
pub mod model;
/// Contains `Subscriber` & `ExchangeMapper` implementations for specific exchanges.
pub mod exchange;
/// Initialises [`MarketStream`]s for an arbitrary number of exchanges using generic Barter
/// [`Subscription`]s.
pub mod builder;
/// Convenient type alias for an [`ExchangeStream`] utilising a tungstenite [`WebSocket`]
pub type ExchangeWsStream<Exchange> =
ExchangeStream<WebSocketParser, WsStream, Exchange, MarketEvent>;
/// [`Stream`] supertrait for streams that yield [`MarketEvent`]s. Provides an entry-point abstraction
/// for an [`ExchangeStream`].
#[async_trait]
pub trait MarketStream:
Stream<Item = Result<Event<MarketEvent>, SocketError>> + Sized + Unpin
{
/// Initialises a new [`MarketStream`] using the provided subscriptions.
async fn init(subscriptions: &[Subscription]) -> Result<Self, SocketError>;
}
/// Trait that defines how a subscriber will establish a [`WebSocket`] connection with an exchange,
/// and action [`Subscription`]s. This must be implemented when integrating a new exchange.
#[async_trait]
pub trait Subscriber {
/// Deserialisable type that this [`Subscriber`] expects to receive from the exchange in
/// response to [`Subscription`] requests. Implements [`Validator`] in order to determine
/// if the `SubResponse` communicates a successful outcome.
type SubResponse: Validator + DeserializeOwned;
/// Initialises a [`WebSocket`] connection, actions the provided collection of Barter
/// [`Subscription`]s, and validates that the [`Subscription`] were accepted by the exchange.
async fn subscribe(
subscriptions: &[Subscription],
) -> Result<(WebSocket, SubscriptionIds), SocketError> {
// Connect to exchange
let mut websocket = connect(Self::base_url()).await?;
// Subscribe
let SubscriptionMeta {
ids,
subscriptions,
expected_responses,
} = Self::build_subscription_meta(subscriptions)?;
for subscription in subscriptions {
websocket.send(subscription).await?;
}
// Validate subscriptions
Self::validate(&mut websocket, expected_responses).await?;
Ok((websocket, ids))
}
/// Returns the Base URL of the exchange to establish a connection with.
fn base_url() -> &'static str;
/// Uses the provided Barter [`Subscription`]s to build exchange specific subscription
/// payloads. Generates a [`SubscriptionIds`] `Hashmap` that is used by an [`ExchangeTransformer`]
/// to identify the Barter [`Subscription`]s associated with received messages.
fn build_subscription_meta(
subscriptions: &[Subscription],
) -> Result<SubscriptionMeta, SocketError>;
/// Uses the provided [`WebSocket`] connection to consume [`Subscription`] responses and
/// validate their outcomes.
async fn validate(
websocket: &mut WebSocket,
expected_responses: usize,
) -> Result<(), SocketError> {
// Establish time limit in which we expect to validate all the Subscriptions
let timeout = Self::subscription_timeout();
// Parameter to keep track of successful Subscription outcomes
let mut success_responses = 0usize;
loop {
// Break if all Subscriptions were a success
if success_responses == expected_responses {
break Ok(());
}
tokio::select! {
// If timeout reached, return SubscribeError
_ = tokio::time::sleep(timeout) => {
break Err(SocketError::Subscribe(
format!("subscription validation timeout reached: {:?}", timeout))
)
},
// Parse incoming messages and determine subscription outcomes
message = websocket.next() => match message {
Some(Ok(WsMessage::Text(payload))) => {
if let Ok(response) = serde_json::from_str::<Self::SubResponse>(&payload) {
match response.validate() {
// Subscription success
Ok(_) => { success_responses += 1; }
// Subscription failure
Err(err) => break Err(err)
}
} else {
// Some already active Subscriptions may start coming through
continue;
}
},
Some(Ok(WsMessage::Close(close_frame))) => {
break Err(SocketError::Subscribe(
format!("received WebSocket CloseFrame: {:?}", close_frame))
)
},
_ => continue,
}
}
}
}
/// Return the expected `Duration` in which the exchange will respond to all actioned
/// `WebSocket` [`Subscription`] requests.
///
/// Default: 10 seconds
fn subscription_timeout() -> Duration {
Duration::from_secs(10)
}
}
/// [`Validator`]s are capable of determining if their internal state is satisfactory to fulfill
/// some use case defined by the implementor.
pub trait Validator {
/// Check if `Self` is valid for some use case.
fn validate(self) -> Result<Self, SocketError>
where
Self: Sized;
}
/// Defines how to translate between exchange specific data structures & Barter data
/// structures. This must be implemented when integrating a new exchange.
pub trait ExchangeTransformer: Transformer<MarketEvent> + Sized {
/// Unique identifier for an [`ExchangeTransformer`].
const EXCHANGE: ExchangeId;
/// Constructs a new [`ExchangeTransformer`] using a transmitter to the [`WsSink`] and the
/// [`SubscriptionIds`] `HashMap`.
///
/// Note:
/// - If required, the [`WsSink`] transmitter may be used to send messages to the exchange.
fn new(ws_sink_tx: mpsc::UnboundedSender<WsMessage>, ids: SubscriptionIds) -> Self;
}
#[async_trait]
impl<Exchange> MarketStream for ExchangeWsStream<Exchange>
where
Exchange: Subscriber + ExchangeTransformer + Send,
{
async fn init(subscriptions: &[Subscription]) -> Result<Self, SocketError> {
// Connect & subscribe
let (websocket, ids) = Exchange::subscribe(subscriptions).await?;
// Split WebSocket into WsStream & WsSink components
let (ws_sink, ws_stream) = websocket.split();
// Task to distribute ExchangeTransformer outgoing messages (eg/ custom pongs) to exchange
// --> ExchangeTransformer is operating in a synchronous trait context
// --> ExchangeTransformer sends messages sync via channel to async distribution task
// --> Async distribution tasks forwards the messages to the exchange via the ws_sink
let (ws_sink_tx, ws_sink_rx) = mpsc::unbounded_channel();
tokio::spawn(distribute_responses_to_the_exchange(
Exchange::EXCHANGE,
ws_sink,
ws_sink_rx,
));
// Construct ExchangeTransformer w/ transmitter to WsSink
let transformer = Exchange::new(ws_sink_tx, ids);
Ok(ExchangeWsStream::new(ws_stream, transformer))
}
}
/// Used to uniquely identify an [`ExchangeTransformer`] implementation. Each variant represents an
/// exchange server which can be subscribed to. Note that an exchange may have multiple servers
/// (eg/ binance, binance_futures), therefore there could be a many-to-one relationship between
/// an [`ExchangeId`] and an [`Exchange`].
#[derive(Copy, Clone, Eq, PartialEq, Ord, PartialOrd, Hash, Debug, Deserialize, Serialize)]
#[serde(rename = "exchange", rename_all = "snake_case")]
pub enum ExchangeId {
BinanceFuturesUsd,
Binance,
Ftx,
Kraken,
}
impl From<ExchangeId> for Exchange {
fn from(exchange_id: ExchangeId) -> Self {
Exchange::from(exchange_id.as_str())
}
}
impl Display for ExchangeId {
fn fmt(&self, f: &mut Formatter<'_>) -> std::fmt::Result {
write!(f, "{}", self.as_str())
}
}
impl ExchangeId {
/// Return the exchange name associated with this [`ExchangeId`].
///
/// eg/ ExchangeId::BinanceFuturesUsd => "binance"
pub fn name(&self) -> &'static str {
match self {
ExchangeId::Binance | ExchangeId::BinanceFuturesUsd => "binance",
ExchangeId::Ftx => "ftx",
ExchangeId::Kraken => "kraken",
}
}
/// Return the &str representation this [`ExchangeId`] is associated with.
pub fn as_str(&self) -> &'static str {
match self {
ExchangeId::Binance => "binance",
ExchangeId::BinanceFuturesUsd => "binance_futures_usd",
ExchangeId::Ftx => "ftx",
ExchangeId::Kraken => "kraken",
}
}
/// Determines whether this [`ExchangeId`] supports the ingestion of
/// [`InstrumentKind::Spot`](barter_integration::model::InstrumentKind) market data.
pub fn supports_spot(&self) -> bool {
match self {
ExchangeId::BinanceFuturesUsd => false,
_ => true,
}
}
/// Determines whether this [`ExchangeId`] supports the collection of
/// [`InstrumentKind::Future**`](barter_integration::model::InstrumentKind) market data.
pub fn supports_futures(&self) -> bool {
match self {
ExchangeId::BinanceFuturesUsd => true,
ExchangeId::Ftx => true,
_ => false,
}
}
}
/// Consume [`WsMessage`]s transmitted from the [`ExchangeTransformer`] and send them on to the
/// exchange via the [`WsSink`].
///
/// If an [`ExchangeTransformer`] is required to send responses to the exchange (eg/ custom pongs),
/// it can so by transmitting the responses to the `mpsc::UnboundedReceiver<WsMessage>` owned by
/// this asynchronous distribution task. These are then sent to the exchange via the [`WsSink`].
/// This is required because an [`ExchangeTransformer`] is operating in a synchronous trait context,
/// and therefore cannot flush the [`WsSink`] without the [`futures:task::context`].
async fn distribute_responses_to_the_exchange(
exchange: ExchangeId,
mut ws_sink: WsSink,
mut ws_sink_rx: mpsc::UnboundedReceiver<WsMessage>,
) {
while let Some(message) = ws_sink_rx.recv().await {
if let Err(error) = ws_sink.send(message).await {
if barter_integration::protocol::websocket::is_websocket_disconnected(&error) {
break;
}
// Log error only if WsMessage failed to send over a connected WebSocket
error!(
%exchange,
%error,
"failed to send ExchangeTransformer output message to the exchange via WsSink"
);
}
}
}
/// Test utilities for conveniently generating public [`MarketEvent`] types.
pub mod test_util {
use crate::{
model::{Candle, DataKind, MarketEvent, PublicTrade},
ExchangeId,
};
use barter_integration::model::{Exchange, Instrument, InstrumentKind, Side};
use chrono::Utc;
use std::ops::{Add, Sub};
/// Build a [`MarketEvent`] of [`DataKind::Trade`] with the provided [`Side`].
pub fn market_trade(side: Side) -> MarketEvent {
MarketEvent {
exchange_time: Utc::now(),
received_time: Utc::now(),
exchange: Exchange::from(ExchangeId::Binance),
instrument: Instrument::from(("btc", "usdt", InstrumentKind::Spot)),
kind: DataKind::Trade(PublicTrade {
id: "trade_id".to_string(),
price: 1000.0,
quantity: 1.0,
side,
}),
}
}
/// Build a [`MarketEvent`] of [`DataKind::Candle`] with the provided time interval.
pub fn market_candle(interval: chrono::Duration) -> MarketEvent {
let now = Utc::now();
MarketEvent {
exchange_time: now,
received_time: now.add(chrono::Duration::milliseconds(200)),
exchange: Exchange::from(ExchangeId::Binance),
instrument: Instrument::from(("btc", "usdt", InstrumentKind::Spot)),
kind: DataKind::Candle(Candle {
start_time: now.sub(interval),
end_time: now,
open: 960.0,
high: 1100.0,
low: 950.0,
close: 1000.0,
volume: 100000.0,
trade_count: 1000,
}),
}
}
}